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math.OC2025
Semismooth Newton Methods for Risk-Averse Markov Decision Processes
Matilde Gargiani, Francesco Micheli, Anastasios Tsiamis +1
Inspired by semismooth Newton methods, we propose a general framework for designing solution methods with convergence guarantees for risk-averse Markov decision processes. Our appr…
math.OC2024
Inexact Policy Iteration Methods for Large-Scale Markov Decision Processes
Matilde Gargiani, Robin Sieber, Efe Balta +2
We consider inexact policy iteration methods for large-scale infinite-horizon discounted MDPs with finite spaces, a variant of policy iteration where the policy evaluation step is…